Calculate the potential change to equity held networth

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Reference no: EM132024334

Suppose the bank manager calculates the following:

- the duration of Bank's asset portfolio is 5 yrs

- ‎the duration of Bank's liability portfolio is 3 yrs

- ‎interest rates are currently 10% expected to rise by 100 basis points.

The bank's issued Balance is assumed to be as follows:

Assets: 100 million

Liability: 90 Million

Equity: 10 million

1. Calculate the potential change to equity held networth if the forecasted rate is rising.

2. Propose the market value balance sheet after rising the rate.

Reference no: EM132024334

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